Description
This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.
This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.
It will buy only one risk on asset at a time.
Trading happens on the Close of the signal day
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 57.00 |
| NoOfWins | 38.00 |
| NoOfLosses | 19.00 |
| SharpRatio | 0.92 |
| SortinoRatio | 1.16 |
| GrossProfit | $49547.03 |
| FirstDate | 2010-12-30 |
| LastDate | 2023-08-31 |
| FirstEquity | $10000.00 |
| FinalEquity | $59547.03 |
| OpenEquity | $43001.66 |
| LongEquity | $49547.03 |
| ShortEquity | $0.00 |
| PercentWins | 66.67% |
| AveWin | 9.06% |
| AveLoss | -3.92% |
| AveWinLoss | 2.31 |
| Expectancy | 4.73% |
| AveDrawUp | 34.20% |
| AveDrawDown | -9.56% |
| MaxDrawDown | -26.94% |
| Kelly | 52.24% |
| Thorpe | 94.30 |
| Rachev | 0.84 |
| APR | 15.12% |
| CalmarRatio | 1.58 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| QQQ | 2010-12-30 | 2011-03-31 | $48.56 | $51.09 | Long | 148.0 | 5.22% | 2939.27 | 10374.86 |
| SPY | 2011-03-31 | 2011-04-29 | $104.73 | $107.76 | Long | 71.0 | 2.90% | 2952.14 | 10590.21 |
| FXA | 2011-04-29 | 2011-05-31 | $94.30 | $92.13 | Long | 81.0 | -2.29% | 2987.32 | 10414.98 |
| FXF | 2011-05-31 | 2011-07-29 | $116.06 | $125.77 | Long | 64.0 | 8.36% | 3065.53 | 11036.29 |
| UBT | 2011-07-29 | 2011-10-14 | $19.73 | $26.73 | Long | 404.0 | 35.49% | 13865.35 | 13865.35 |
| UBT | 2011-10-28 | 2012-01-31 | $25.49 | $30.14 | Long | 393.0 | 18.25% | 4359.20 | 15693.01 |
| QQQ | 2012-01-31 | 2012-09-28 | $54.23 | $61.85 | Long | 209.0 | 14.06% | 4850.61 | 17286.23 |
| SPY | 2012-09-28 | 2013-07-31 | $117.32 | $139.81 | Long | 106.0 | 19.17% | 5503.17 | 19670.58 |
| QQQ | 2013-07-31 | 2014-03-31 | $69.11 | $80.98 | Long | 205.0 | 17.17% | 6218.74 | 22103.14 |
| SPY | 2014-03-31 | 2014-05-30 | $157.27 | $162.04 | Long | 101.0 | 3.03% | 6294.84 | 22584.74 |
| UBT | 2014-05-30 | 2014-06-30 | $29.09 | $28.92 | Long | 560.0 | -0.57% | 6315.37 | 22492.14 |
| QQQ | 2014-06-30 | 2014-07-31 | $86.97 | $88.00 | Long | 186.0 | 1.18% | 6307.29 | 22683.34 |
| UBT | 2014-07-31 | 2014-08-29 | $29.35 | $31.91 | Long | 558.0 | 8.72% | 6737.79 | 24110.52 |
| QQQ | 2014-08-29 | 2014-09-30 | $92.41 | $91.71 | Long | 188.0 | -0.76% | 6681.29 | 23979.06 |
| UBT | 2014-09-30 | 2014-10-31 | $30.67 | $32.44 | Long | 564.0 | 5.76% | 6995.91 | 24975.10 |
| QQQ | 2014-10-31 | 2015-06-30 | $94.13 | $100.22 | Long | 191.0 | 6.47% | 7338.16 | 26138.56 |
| FXF | 2015-06-30 | 2015-07-31 | $103.87 | $100.44 | Long | 181.0 | -3.30% | 7101.75 | 25517.83 |
| TBF | 2015-07-31 | 2015-11-30 | $23.49 | $23.26 | Long | 784.0 | -1.00% | 7057.36 | 25333.75 |
| UBT | 2015-11-30 | 2016-03-31 | $34.42 | $40.16 | Long | 531.0 | 16.69% | 7906.25 | 28383.20 |
| FXA | 2016-03-31 | 2016-04-29 | $73.66 | $73.10 | Long | 278.0 | -0.75% | 7860.32 | 28228.64 |
| FXY | 2016-04-29 | 2016-06-30 | $90.93 | $93.58 | Long | 224.0 | 2.91% | 8018.96 | 28822.24 |
| UBT | 2016-06-30 | 2016-07-29 | $45.32 | $47.29 | Long | 459.0 | 4.34% | 8321.16 | 29725.62 |
| FXY | 2016-07-29 | 2016-08-31 | $94.71 | $93.35 | Long | 226.0 | -1.44% | 8255.25 | 29418.26 |
| QQQ | 2016-08-31 | 2016-11-30 | $110.22 | $111.51 | Long | 192.0 | 1.16% | 8407.84 | 29664.42 |
| SPY | 2016-11-30 | 2016-12-30 | $195.01 | $198.97 | Long | 109.0 | 2.03% | 8443.77 | 30095.57 |
| QQQ | 2016-12-30 | 2017-08-31 | $112.77 | $139.83 | Long | 192.0 | 23.99% | 9815.37 | 35290.26 |
| UBT | 2017-08-31 | 2017-09-29 | $39.56 | $37.66 | Long | 644.0 | -4.79% | 9531.99 | 34068.75 |
| QQQ | 2017-09-29 | 2017-11-30 | $139.41 | $148.71 | Long | 176.0 | 6.67% | 10104.77 | 35705.09 |
| SPY | 2017-11-30 | 2017-12-29 | $239.26 | $242.15 | Long | 107.0 | 1.21% | 10132.77 | 36014.52 |
| QQQ | 2017-12-29 | 2018-04-30 | $149.61 | $154.84 | Long | 173.0 | 3.50% | 10257.78 | 36919.51 |
| CYB | 2018-04-30 | 2018-05-31 | $24.48 | $24.20 | Long | 1089.0 | -1.17% | 10263.64 | 36606.53 |
| QQQ | 2018-05-31 | 2018-10-31 | $163.62 | $164.02 | Long | 161.0 | 0.25% | 10189.90 | 36671.47 |
| TBF | 2018-10-31 | 2018-12-31 | $22.77 | $21.21 | Long | 1163.0 | -6.86% | 9682.02 | 34856.15 |
| UBT | 2018-12-31 | 2019-06-28 | $36.75 | $43.97 | Long | 685.0 | 19.65% | 11105.74 | 39802.30 |
| QQQ | 2019-06-28 | 2019-07-31 | $181.62 | $185.86 | Long | 158.0 | 2.33% | 11258.66 | 40472.31 |
| UBT | 2019-07-31 | 2019-11-07 | $44.06 | $45.85 | Long | 663.0 | 4.07% | 41660.42 | 41660.42 |
| QQQ | 2019-11-29 | 2020-01-31 | $199.88 | $213.96 | Long | 150.0 | 7.04% | 12181.50 | 43771.81 |
| UBT | 2020-01-31 | 2020-03-10 | $53.00 | $63.68 | Long | 596.0 | 20.14% | 50135.02 | 50135.02 |
| UBT | 2020-03-30 | 2020-06-04 | $67.22 | $60.05 | Long | 538.0 | -10.66% | 46278.14 | 46278.14 |
| UBT | 2020-06-29 | 2020-06-30 | $65.52 | $65.00 | Long | 510.0 | -0.79% | 12997.93 | 46012.55 |
| QQQ | 2020-06-30 | 2021-02-26 | $242.75 | $309.00 | Long | 136.0 | 27.29% | 15579.02 | 55021.92 |
| SPY | 2021-02-26 | 2021-06-30 | $365.21 | $413.73 | Long | 108.0 | 13.28% | 16928.03 | 60261.66 |
| QQQ | 2021-06-30 | 2021-07-30 | $349.46 | $359.46 | Long | 124.0 | 2.86% | 17423.27 | 61501.40 |
| SPY | 2021-07-30 | 2021-08-31 | $423.83 | $436.44 | Long | 104.0 | 2.98% | 17483.27 | 62813.16 |
| QQQ | 2021-08-31 | 2021-09-30 | $374.63 | $353.34 | Long | 121.0 | -5.68% | 16717.40 | 60237.99 |
| UBT | 2021-09-30 | 2021-10-29 | $50.66 | $52.94 | Long | 859.0 | 4.50% | 17602.11 | 62194.53 |
| QQQ | 2021-10-29 | 2021-11-30 | $381.13 | $388.74 | Long | 117.0 | 2.00% | 17509.27 | 63084.97 |
| UBT | 2021-11-30 | 2022-01-04 | $55.78 | $50.08 | Long | 817.0 | -10.23% | 58423.38 | 58423.38 |
| UBT | 2022-01-28 | 2022-01-31 | $49.64 | $49.24 | Long | 850.0 | -0.80% | 16124.03 | 58084.16 |
| TBF | 2022-01-31 | 2022-12-07 | $16.04 | $20.01 | Long | 2616.0 | 24.73% | 68460.58 | 68460.58 |
| TBF | 2022-12-29 | 2023-01-31 | $21.73 | $20.46 | Long | 2276.0 | -5.84% | 18228.27 | 65572.23 |
| FXE | 2023-01-31 | 2023-02-28 | $98.84 | $96.23 | Long | 479.0 | -2.64% | 17854.82 | 64321.00 |
| TBF | 2023-02-28 | 2023-03-31 | $21.62 | $20.67 | Long | 2149.0 | -4.41% | 17302.38 | 62271.08 |
| UBT | 2023-03-31 | 2023-05-22 | $26.55 | $23.76 | Long | 1694.0 | -10.50% | 57551.52 | 57551.52 |
| UBT | 2023-05-30 | 2023-05-31 | $24.33 | $24.82 | Long | 1708.0 | 2.01% | 16202.20 | 58385.44 |
| TBF | 2023-05-31 | 2023-06-30 | $21.40 | $21.50 | Long | 1971.0 | 0.44% | 16518.73 | 58571.47 |
| QQQ | 2023-06-30 | 2023-08-31 | $368.88 | $377.44 | Long | 114.0 | 2.32% | 16545.37 | 59547.03 |